Pricing Asset Scheduling Flexibility using Optimal Switching
From MaRDI portal
Publication:3617303
DOI10.1080/13504860802170507zbMath1156.91361OpenAlexW2053851962MaRDI QIDQ3617303
Michael Ludkovski, René A. Carmona
Publication date: 23 March 2009
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504860802170507
Monte Carlo methods (65C05) Application models in control theory (93C95) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (32)
An investment model with switching costs and the option to abandon ⋮ Optimal switching at Poisson random intervention times ⋮ Multi-dimensional BSDE with oblique reflection and optimal switching ⋮ Swing Options Valuation: A BSDE with Constrained Jumps Approach ⋮ A limited-feedback approximation scheme for optimal switching problems with execution delays ⋮ A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables ⋮ An existence theorem for multidimensional BSDEs with mixed reflections ⋮ Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem ⋮ Management strategies for run-of-river hydropower plants: an optimal switching approach ⋮ On a switching control problem with càdlàg costs ⋮ Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time ⋮ A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets ⋮ Probabilistic representation of viscosity solutions to quasi-variational inequalities with non-local drivers ⋮ Multi-dimensional BSDEs with mean reflection ⋮ Viscosity solutions of system of PDEs with interconnected obstacles and nonlinear Neumann boundary conditions ⋮ Optimal liquidation through a limit order book: a neural network and simulation approach ⋮ Time discretization and quantization methods for optimal multiple switching problem ⋮ Discrete-time approximation of multidimensional BSDEs with oblique reflections ⋮ Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation ⋮ Valuation of energy storage: an optimal switching approach ⋮ Valuing switching options with the moving-boundary method ⋮ BSDE representations for optimal switching problems with controlled volatility ⋮ The explicit solution to a sequential switching problem with non-smooth data ⋮ Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems ⋮ WHEN ARE SWING OPTIONS BANG-BANG? ⋮ Optimal decision policy for real options under general Markovian dynamics ⋮ Optimal switching under a hybrid diffusion model and applications to stock trading ⋮ On the finite horizon optimal switching problem with random lag ⋮ A balance sheet optimal multi-modes switching problem ⋮ Optimal Quantization for the Pricing of Swing Options ⋮ A finite horizon optimal switching problem with memory and application to controlled SDDEs ⋮ Switching game of backward stochastic differential equations and associated system of obliquely reflected backward stochastic differential equations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the convergence from discrete to continuous time in an optimal stopping problem.
- Monte Carlo algorithms for optimal stopping and statistical learning
- Applied stochastic control of jump diffusions.
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Optimal switching problem for countable Markov chains: Average reward criterion
- An analysis of a least squares regression method for American option pricing
- Reflected BSDEs and mixed game problem
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Optimal partially reversible investment with entry decision and general production function
- A regression-based Monte Carlo method to solve backward stochastic differential equations
- Error analysis of the optimal quantization algorithm for obstacle problems.
- On the One-Dimensional Optimal Switching Problem
- Valuation of energy storage: an optimal switching approach
- FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY
- Pricing American Options: A Duality Approach
- Optimal Switching in an Economic Activity under Uncertainty
- Pricing and Hedging Spread Options
- A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping
- MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
- The Mathematics of Financial Derivatives
- Optimization of the flow of dividends
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- On the Starting and Stopping Problem: Application in Reversible Investments
- On the Smooth-Fit Property for One-Dimensional Optimal Switching Problem
- Explicit Solution to an Optimal Switching Problem in the Two‐Regime Case
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- A Sequential Entry Problem with Forced Exits
- Time-to-build and capacity choice
This page was built for publication: Pricing Asset Scheduling Flexibility using Optimal Switching
